iTunes Losing Songs

First post here, and this is actually just one of many similar problems I've encountered. After downloading an album, I opened said album where it downloaded to, instead of moving it to my music folder. After iTunes had opened the album and played it a few times, I moved it, and told it where to find the album again. This works, up until I have to close iTunes, when it "loses" the new location.

A problem that I THINK is related is certain video games that require me to agree to a EULA after each patch, and only once after each patch, now require me to agree each time these games start, like a file is being written acknowledging that I agreed, and then being promptly lost. Help?